Relative performance of the single index versus mean variance optimization in equity portfolio construction in Kenya

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dc.contributor.authorNyokangi, Chris Ogetii
dc.date.accessioned2016-10-04T12:46:25Z
dc.date.available2016-10-04T12:46:25Z
dc.date.issued2016
dc.descriptionSubmitted in partial fulfillment of the requirements for the Degree of Master of Business Administration (MBA)en_US
dc.description.abstractThis study focuses on comparing the performance of the single index model and mean variance optimization model in portfolio construction in Kenya using the Nairobi Securities Exchange-20 Share Index from 2002-2015. The comparison is done by constructing portfolios using both the single index model and mean variance optimization model. The Sharpe ratio is used to determine which model is better, as indicated by the higher Sharpe ratio. The study establishes that the mean variance optimization model is better when considering investments with long time horizon, whereas the single index model is better when considering investments with short time horizon. The study also concludes that the mean variance optimization model is better if the investors are risk averse, while the single index model is better when considering investors who are risk lovers.en_US
dc.identifier.urihttp://hdl.handle.net/11071/4770
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectKenyaen_US
dc.subjectRelative performanceen_US
dc.subjectSingle indexen_US
dc.subjectMean varianceen_US
dc.subjectequity portfolio constructionen_US
dc.subjectSharpe ratioen_US
dc.subjectmean variance optimization modelen_US
dc.subjectNSEen_US
dc.titleRelative performance of the single index versus mean variance optimization in equity portfolio construction in Kenyaen_US
dc.typeThesisen_US
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